Director, Market Risk Model Validation

3 weeks ago


London, United Kingdom ICBC Standard Bank Full time

Summary

: •Excellent academic credentials. Masters or PhD degree in a quantitative field are required.•Advanced knowledge of quantitative methods such as financial mathematics and statistics.•Expert knowledge of model validation and a good understanding of model risk management under PRA regulations are required. •Expert knowledge of historical VaR, RNiV modelling and proxy modelling is required.•Experience with banking book modelling (IRRBB models) and economic capital modelling is desirable.•Good understanding of market risk management.•Good high-level cross asset class knowledge of traded products.•Good coding skills (preferably C++) and working knowledge of Excel. •Experience with Murex as a booking and risk management tool would be beneficial.•Good written and verbal communication skills; ability to work independently.•Flexibility to adapt to changing day-to-day priorities whilst simultaneously achieving longer term project-based deadlines.

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